asset returns. Our model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the …We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The … applications respectively on macroeconomic series, with a particular focus on different measures of inflation, and on financial …

theoretical predictions and simulations are corroborated when forecasting aggregate US inflation pre- and post 1984 using …To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those … disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, mis …

striking negative correlation between the evolution of the long-run coefficient on inflation in the monetary rule and the … evolution of the persistence and predictability of inflation relative to a trend component. Using a standard sticky-price model …, we show that a more aggressive policy stance towards inflation causes a decline in inflation predictability, providing a …

theoretical predictions and simulations are corroborated when forecasting aggregate US inflation pre- and post 1984 using …To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those … disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, mis …

A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper …) using a new methodology. The main conclusion from our analysis is that, when monitoring inflation expectations, limiting … attention to a point prediction is not sufficient. The analysis of inflation expectations should take into account inflation …

estimates in real time. Our measures help forecasting inflation over most of our evaluation sample (2001-2010) but fail …-time estimates to check the stability of the estimates to GDP revisions. We finally run a forecasting experiment to evaluate the … predictive power of the output gap for inflation in the euro area. We find evidence of changes in trend growth around the …

estimates for inflation forecasting both in the short term (one-quarter and one-year ahead) and the medium term (two-year and … output gap estimates and forecast horizons, the results point clearly to a lack of any usefulness of real-time output gap … forecast real GDP growth, particularly in the short term, and some appear also useful in the medium run. No single output gap …

for future inflation for the cross section of New EU Member States. This paper provides stylized facts on monetary versus … non-monetary (economic and fiscal) determinants of inflation in these countries as well as formal econometric evidence on … the forecast performance of a large set of monetary and non-monetary indicators. The forecast evaluation results suggest …

RS and the GVAR methodology improves out-of-sample forecast accuracy signi significantly in an application to real GDP …, price inflation, and stock prices …

interest-rate feedback rules on the volatility of output growth, inflation, and nominal rates. The paper illustrates the …